'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:- Compared with the benchmark SPY (58.9%) in the period of the last 5 years, the total return, or performance of 58.9% of Vanguard 500 Index Fund is larger, thus better.
- Looking at total return, or increase in value in of 34% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (33.9%).

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:- The compounded annual growth rate (CAGR) over 5 years of Vanguard 500 Index Fund is 9.7%, which is greater, thus better compared to the benchmark SPY (9.7%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 10.3%, which is larger, thus better than the value of 10.2% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of Vanguard 500 Index Fund is 21.9%, which is higher, thus worse compared to the benchmark SPY (21.6%) in the same period.
- During the last 3 years, the 30 days standard deviation is 25.5%, which is greater, thus worse than the value of 25% from the benchmark.

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:- Looking at the downside deviation of 15.9% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.7%)
- Compared with SPY (18.1%) in the period of the last 3 years, the downside deviation of 18.3% is higher, thus worse.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.33) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.33 of Vanguard 500 Index Fund is higher, thus better.
- During the last 3 years, the Sharpe Ratio is 0.3, which is smaller, thus worse than the value of 0.31 from the benchmark.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.46) in the period of the last 5 years, the excess return divided by the downside deviation of 0.46 of Vanguard 500 Index Fund is higher, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is 0.42, which is lower, thus worse than the value of 0.43 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Applying this definition to our asset in some examples:- The Downside risk index over 5 years of Vanguard 500 Index Fund is 8.94 , which is larger, thus worse compared to the benchmark SPY (8.91 ) in the same period.
- Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Looking at the maximum DrawDown of -33.8 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum reduction from previous high is -33.8 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 271 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (271 days)
- Looking at maximum days under water in of 271 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (271 days).

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 60 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (60 days)
- Compared with SPY (72 days) in the period of the last 3 years, the average days below previous high of 72 days is larger, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard 500 Index Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.